ElasticSearch Score: 3.7471776
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
ElasticSearch Score: 3.7457342
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.
ElasticSearch Score: 3.740814
In this paper, we develop a theoretical model which identifies four channels–import prices, competition with domestic suppliers and workers, and commodity prices–through which price- and wage-setting conditions in country j may affect inflation in country i.
ElasticSearch Score: 3.6905923
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.
ElasticSearch Score: 3.674297
This paper theoretically and empirically examines the price impacts of liquidations in DeFi and how different liquidation mechanisms affect the price impacts.
ElasticSearch Score: 3.6324444
We study how the interaction of market power and nominal price rigidity influences inflation dynamics. We find that pass-through declines with price stickiness when markets are concentrated, which implies a lower slope of the New Keynesian Phillips curve.
ElasticSearch Score: 3.5731368
This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central banks of small open economies.
ElasticSearch Score: 3.4487405
I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors.
ElasticSearch Score: 3.4399014
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.
ElasticSearch Score: 3.4171288
We show how Treasury demand shocks transmit to foreign exchange and bond markets globally. Higher Treasury demand weakens the U.S. dollar and raises foreign bond prices, with effects persisting for two weeks. The transmission varies predictably across countries based on their monetary policy alignment with the United States.